数学天元基金的管理和实施办法

数学天元基金是国家为支持我国数学家率先赶上世界先进水平而设立的数学专项基金.经费来源于国家财政拨款,由国家自然科学基金委员会管理.     

国家自然科学基金数学动态报道 数学天元基金的管理和实施办法

数学天元基金是国家为支持我国数学家率先赶上世界先进水平而设立的数学专项基金．经费来源于国家财政拨款,由国家自然科学基金委员会管理．1使用范围本项基金和国家自然科学基金委员会资助数学研究的经费统一用于对数学学科的支持,二者密切配合,相辅相成,具体用于以下几个方面：     

基于ISM的地震灾后恢复重建影响因素分析

地震灾后恢复重建是地震灾害受灾国的一项艰巨而繁重的工作任务.地震灾害的破坏性使恢复重建具有复杂性、不确定性和开放性的特点,因此地震灾后恢复重建影响因素不但具有复杂性,而且影响范围和程度也各不相同.引入ISM模型解决了地震灾后恢复重建影响因素多而杂的问题,在文献资料统计基础上构建地震灾后恢复重建影响因子解析结构模型.通过分析确定地震灾后恢复重建关键影响区素共16个:重建主体、重建经验、施工条件、物价、资金、工程成本、建材质量、施工工期、标准施工、检验维修、工程利用、公共服务、自然环境、运行经费、社会饵障、居民激励.该结论为政府优化地震灾后恢复重建工作,保证重建效果具有重要意义.     

乡经济发展状况的定量分析

上海市嘉定县正在试行农村社会养老保险制度的改革,实行由国家、集体和个人共同筹集养老保险基金的制度.养老保险基金主要来源于乡.该县共有19个乡,各个乡的经济发展水平不尽相同.哪些乡比较富裕已在经济上具备条件,可以率先进行这一改革?为此,必须对各乡经济发展状况作一分析,首先要制定衡量一个乡经济发展水平的指标体系.我们通过县统计局得到了下列有关的原始指标值:(1)1986年乡人均收入;(2)1986年乡净收入;(3)各乡贫困户的比例;(4)1980年至1986年每年各乡乡村办企业收入和总收     

中国地震保险市场的演化博弈均衡——政府预防性补贴和救济性给付分析

我国应对地震风险的资金安排可以按事前与事后划分为灾前预防性质和灾后给付性质。在非预期预算一定的情况下,政府应如何分配救灾基金？对地震保险市场均衡影响如何？本文构建了一个三方演化博弈模型,分析发现政府适度的灾后救济能够同时保证效率与公平,而过度的灾后救济会在长期提高居民的救灾预期,抑制商业地震保险市场的形成与完善。同时,引导与改善社会风险管理意识和风险感知也是提高地震保险市场效率的关键。     

监督力度对地方政府财政效率存在空间效应吗?

基于1999-2012年我国省级政府财政投入产出数据,采用考虑非期望产出的非径向非角度SBM模型对地方政府财政效率进行测度,研究表明我国地方政府财政效率存在区域差异性.采用动态空间计量研究发现财政违规资金和行政腐败程度抑制了我国地方政府财政效率,同时存在着负的空间外溢性特征.因此,促进我国地方政府财政效率的关键点在于需要考虑空间因素下的监督工作合理实施.     

科技型中小企业技术创新基金的价值测度实证研究

科技型中小企业技术创新基金的价值如何测度和实现价值最大化是政府和企业迫切需要解决的问题.基于波特的价值链模型以及科技型中小企业的特点,分析了科技型中小企业的价值链,并以价值链和利益相关者作为理论基础分析了创新基金的作用机理,得出创新基金的价值体现为资金杠杆、社会资本杠杆和带动效应,通过对每种价值进行细化形成完整的国家创新基金的价值测度指标体系,同时结合115份有效的调查问卷,对国家创新基金的价值测度进行实证研究,为有关政府部门制定政策和科技型中小企业实施创新基金项目提供了理论指导.     

借贷消费模式难以持久

最近,欧美三个国家的政府几乎同时＂沦陷＂,葡萄牙国会3月23日否决了紧缩财政措施,总理随即辞职;之后是加拿大议会没有通过保守党政府提交的2011年财政预算案,令保守党少数政府被迫下台,拉开5月2日全国大选的帷幕；与此同时，美国也因为2011年的预算案，政府机构几乎停止正常运作。     

国内云计算研究进展可视化分析

以CNKI收录的2007-2012年间5212篇云计算文献为研究对象,采用文献计量、社会网络分析法,从文献的年代、来源期刊及基金资助分布,作者及其合作、研究机构及其合作,研究热点及其演进等方面可视化分析了国内云计算研究进展.     

带偏好DEA在“科学研究基金”管理中的应用研究

将带偏好锥DEA理论引入科学研究基金管理中,在包含"拥挤"迹象的生产可能集基础上建立了三个带偏好锥的平行网络结构DEA模型,对科研基金投入后产生的"成效"进行评价.这些模型分别从三个层面探讨了科研基金使用效率、分配合理性,以及最佳基金预算的确定方法.     

Optimal dynamic asset allocation of pension fund in mortality and salary risks framework

In this paper, we consider the optimal dynamic asset allocation of pension fund with mortality risk and salary risk. The managers of the pension fund try to find the optimal investment policy (optimal asset allocation) to maximize the expected utility of terminal wealth. The market is a combination of financial market and insurance market. The financial market consists of three assets: cashes with stochastic interest rate, stocks and rolling bonds, while the insurance market consists of mortality risk and salary risk. These two non-hedging risks cause incompleteness of the market. By martingale method and dynamic programming principle we first derive the approximate optimal investment policy to overcome the difficulty, then investigate the efficiency of the approximation. Finally, we solve an optimal assets liabilities management(ALM) problem with mortality risk and salary risk under CRRA utility, and reveal the influence of these two risks on the optimal investment policy by numerical illustration.     

Dynamic asset allocation for varied financial markets under regime switching framework

Asset allocation among diverse financial markets is essential for investors especially under situations such as the financial crisis of 2008. Portfolio optimization is the most developed method to examine the optimal decision for asset allocation. We employ the hidden Markov model to identify regimes in varied financial markets; a regime switching model gives multiple distributions and this information can convert the static mean–variance model into an optimization problem under uncertainty, which is the case for unobservable market regimes. We construct a stochastic program to optimize portfolios under the regime switching framework and use scenario generation to mathematically formulate the optimization problem. In addition, we build a simple example for a pension fund and examine the behavior of the optimal solution over time by using a rolling-horizon simulation. We conclude that the regime information helps portfolios avoid risk during left-tail events.     

基于Stein-Stein波动率和动态VaR约束下DC型养老基金的最优投资策略

研究了确定缴费型养老基金在退休前累积阶段的最优资产配置问题.假设养老基金管理者将养老基金投资于由一个无风险资产和一个价格过程满足Stein-Stein随机波动率模型的风险资产所构成的金融市场.利用随机最优控制方法,以最大化退休时刻养老基金账户相对财富的期望效用为目标,分别获得了无约束情形和受动态VaR (Value at Risk)约束情形下该养老基金的最优投资策略,并获得相应最优值函数的解析表达形式.最后通过数值算例对相关理论结果进行数值验证并考察了最优投资策略关于相关参数的敏感性.     

Mean-variance optimization problems for an accumulation phase in a defined benefit plan

In this paper we deal with contribution rate and asset allocation strategies in a pre-retirement accumulation phase. We consider a single cohort of workers and investigate a retirement plan of a defined benefit type in which an accumulated fund is converted into a life annuity. Due to the random evolution of a mortality intensity, the future price of an annuity, and as a result, the liability of the fund, is uncertain. A manager has control over a contribution rate and an investment strategy and is concerned with covering the random claim. We consider two mean-variance optimization problems, which are quadratic control problems with an additional constraint on the expected value of the terminal surplus of the fund. This functional objectives can be related to the well-established financial theory of claim hedging. The financial market consists of a risk-free asset with a constant force of interest and a risky asset whose price is driven by a Lévy noise, whereas the evolution of a mortality intensity is described by a stochastic differential equation driven by a Brownian motion. Techniques from the stochastic control theory are applied in order to find optimal strategies.     

Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases

In a financial market with one riskless asset and n risky assets whose prices are lognormal, we solve in a closed form the problem of a pension fund maximizing the expected CRRA utility of its surplus till the (stochastic) death time of a representative agent. We consider a unique asset allocation problem for both accumulation and decumulation phases. The optimal investment in the risky assets must decrease during the first phase and increase during the second one. We accordingly suggest it is not optimal to manage the two phases separately, and outsourcing of allocation decisions should be avoided in both phases. JEL: G23, G11 MSC 2000: 62P05, 91B28, 91B30, 91B70, 93E20     

Management of a pension fund under mortality and financial risks

The purpose of this article is to analyze the dividend policy and the asset allocation of a pension fund. We consider a financial market composed of three assets: cash, stocks and a rolling bond. Interest rates are driven by Vasicek’s model whereas the mortality of the insured population is modelled by a Poisson process. We determine investment and dividend policies maximizing the utility of dividends and of terminal surplus under a budget constraint. In particular, solutions are developed for CRRA and CARA utility functions. The methodology is based both on the Cox and Huang’s approach and on the dynamic programming principle.     

Risky asset allocation and consumption rule in the presence of background risk and insurance markets

This study examines joint decisions regarding risky asset allocation and consumption rate for a representative agent in the presence of background risk and insurance markets. Contrary to the conclusion of the “mutual fund separation theorem”, we show that the optimal risky asset mix will reflect an agent’s risk attitude as long as background risk is not independent of investment risk. This result can, however, be used to solve the “riskyasset allocation puzzle”. We also unveil that optimal insurance to shift background risk is determined through establishing a hedging portfolio against investment risk and is an arrangement maintaining the balance between growth and volatility of expected consumption. Because the optimal insurance we obtain generally leads to a smoother consumption path, it may plausibly explain the “equity premium puzzle” in the financial literature.     

Multiple Fund Investment Situations and Related Games

This paper deals with interactive multiple fund investment situations, in which investors can invest their capital in a number of funds. The investors, however, face some restrictions. In particular, the investment opportunities of an investor depend on the behaviour of the other investors. Moreover, the individual investment returns may differ. We consider this situation from a cooperative game theory point of view. Based on different assumptions modelling the gains of joint investment, we consider three corresponding games and analyse their properties. We propose an allocation process for the maximal total investment revenues.Ruud Hendrickx acknowledges financial support from the Netherlands Organisation for Scientific Research (NWO).     

Numerically intensive computing in Japanese financial institutions

Two major sophisticated services are needed by Japanese financial institutions. They are fund management and the development of new financial products. These are needed because of the increase of fund to be managed and deregulation. This paper will first, explain the current situation in Japanese financial institutions and, second, introduce the use of numerically intensive computing to provide these new services.